On joint ruin probabilities of a two-dimensional risk model with constant interest rate

Details On joint ruin probabilities of a two-dimensional risk model with constant interest rate On joint ruin probabilities of a two-dimensional risk model with constant interest rate

2011-05-13

arxiv.org/abs/1105.2595v1

Mathematics

Probability

12 pages

Scientific paper

In this note we consider the two-dimensional risk model introduced in Avram
et al. [2] with constant interest rate. We derive an integral-differential
equation of the Laplace transform of the joint ruin time $T_{\rm
min}(u_1,u_2)$, and one asymptotic expression for the finite time ruin
probability with respect to the joint ruin time $T_{\rm max}(u_1,u_2)$.

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